broker to box chain options on CME ES futures
- Thread starter hagen
- Start date
Robert Morse
Sponsor
What is the benefit of a box spread in an option on a future? CME Direct which very few brokers offer allows any spreads, even outside User Defined Spreads (UDS).
interest rates
Robert Morse
Sponsor
You expect to be paid interest on the credit balances in a futures account from options? Does IB do that? I did not think an FCM can repo those balances. I could be wrong.
Robert Morse
Sponsor
I understand how this works with equity options and index options, but I did not think it would work with a futures account. A BOX spread is an UDS but I would not find them on CQG. CME Direct has RFQ so you can send whatever you want.
CannonTrading_Ilan
Sponsor
Can you give a very specific example of a hypothetical trade?
https://alphaarchitect.com/2023/05/box-spreads-an-alternative-to-treasury-bills/
Everyone knows their trades, I only comment that you can also carry out operations with futures and options, in addition to the excess you can have a return on the T-Bill and even greater if you take advantage of the inefficiencies of the markets.
Ilan attached the operations to you.
buy 1 ES FOP Apr30´24 4500 put
sell 1 ES FOP Apr30´24 4500 call
buy 1 ES FOP Apr30´24 5200 call
sell 1 ES FOP Apr30´24 5200 put
Many thanks
Robert Morse
Sponsor
This is my 2 cents from what I know about Futures accounts. When you buy or sell a future, cash does not leave the account like when you do that with stocks. If your account has $100,000, and you want to buy a T-bill for $90,000 to get interest you can. You want to avoid your equity dropping to owe interest, so doing this with 100% makes no sense. If you go out and buy futures with a margin requirement of, say $80,000, you are not borrowing money. However, Options must be paid for. If you buy $80,000 in options, $80,000 leaves your account. By selling the BOX as described, it will offset the debit from the options. It will not remove the margin requirements of the options. Because of that, I see no benefit to doing this. I only see you incurring fees. I do see the benefit to funding with T-bills if you do not buy options and only trade futures.